Well, thanks for trying a guess, but the truth is I use ACDSee, not the MS viewer, and the problem is that once ACDSee has rotated the full picture, Windows 8 insist to show it to me re-rotated. It doesn't rotate it, it just rotates the view that I get of it.

When you are rotating the photos in ACDSee it should also be updating the exif data. I think it's not doing that sense Win8 is rotating the thumbnails again. Maybe there is a setting in ACDSee to apply the change to the exif data than hasn't been enabled?